Abstract

The objective of this paper is to test financial integration for a sample of 15 developed financial markets and 7 emerging markets between December 1987 and December 2004 by using Conditional International CAPM. The results of the test of International CAPM with time-varying moments provide evidence that the world portfolio is conditionally mean–variance efficient for the group of G7 countries. For emerging markets, we reject the hypothesis of integrated capital markets and we find evidence of time-varying segmentation.

 

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